Related papers: Construction and Uniqueness for reflected BSDE und…
In this paper, we first establish the reflected backward stochastic difference equations with finite state (FS-RBSDEs for short). Then we explore the Existence and Uniqueness Theorem as well as the Comparison Theorem by "one step" method.…
This article deals with the starting and stopping problem under Knightian uncertainty, i.e., roughly speaking, when the probability under which the future evolves is not exactly known. We show that the lower price of a plant submitted to…
This paper is concerned with the characterizations of the Friedrichs extension for a class of singular discrete linear Hamiltonian systems. The existence of recessive solutions and the existence of the Friedrichs extension are proved under…
We study the existence and uniqueness of minimal supersolutions of backward stochastic differential equations with generators that are jointly lower semicontinuous, bounded below by an affine function of the control variable and satisfy a…
We study multidimensional BSDEs of the form $$ Y_t = \xi + \int_t^T f(s,Y_s,Z_s)ds - \int_t^T Z_s dW_s $$ with bounded terminal conditions $\xi$ and drivers $f$ that grow at most quadratically in $Z_s$. We consider three different cases. In…
In this paper, we focus on the existence of the density for the law of the solutions to parabolic stochastic partial differential equations with two reflecting walls. The main tool is Malliavin calculus.
Bounded weak solutions to a particular class of degenerate parabolic cross-diffusion systems are shown to coincide with the unique strong solution determined by the same initial condition on the maximal existence interval of the latter. The…
Electrical Impedance Imaging would suffer a serious obstruction if for two different conductivities the potential and current measured at the boundary were the same. The Calder\'on's problem is to decide whether the conductivity is indeed…
In a recent paper, Soner, Touzi and Zhang [20] have introduced a notion of second order backward stochastic differential equations (2BSDEs for short), which are naturally linked to a class of fully non-linear PDEs. They proved existence and…
We consider an infinite horizon, obliquely reflected backward stochastic differential equation (RBSDE). The main contribution of the present work is that we generalize previous results on infinite horizon reflected BSDEs to the setting…
In this paper, we prove that a kind of second order stochastic differential operator can be represented by the limit of solutions of BSDEs with uniformly continuous coefficients. This result is a generalization of the representation for the…
We formulate a notion of doubly reflected BSDEs with a default time and two completely separated RCLL barriers. We demonstrate the existence and uniqueness of the solution. Within the defaultable setup, we introduce a type of generalized…
We construct the invisible quantum barrier which represents the phenomenon of quantum reflection using the available data. We use the Abel equation to invert the data. The resulting invisible quantum barrier is double-valued in both axes.…
A simple model wavefunction, consisting of a linear combination of two free-particle Gaussians, describes many of the observed features seen in the interactions of two isolated Bose-Einstein condensates as they expand, overlap, and…
In this paper, we present conditions for identifying the generator of a linear stochastic differential equation (SDE) from the distribution of its solution process with a given fixed initial state. These identifiability conditions are…
In this paper, we provide an estimate for the solutions of reflected backward stochastic differential equations (RBSDEs) driven by a Markov chain, derive a continuous dependence property for their solutions with respect to the parameters of…
In this paper, the author introduces new methods to construct Archimedean copulas. The generator of each copula fulfills the sufficient conditions as regards the boundary and being continuous, decreasing, and convex. Each inverse generator…
In this paper, we study the relation between the smallest $g$-supersolution of constraint backward stochastic differential equation and viscosity solution of constraint semilineare parabolic PDE, i.e. variation inequalities. And we get an…
In [Stochastc Process. Appl., 122(9):3173-3208], the author proved the existence and the uniqueness of solutions to Markovian superquadratic BSDEs with an unbounded terminal condition when the generator and the terminal condition are…
The physical interpretation of the appearance of resonant transmission through single-point barriers is discussed on the basis of a double-layer heterostructure in the squeezing limit as both the thickness of the layers and the distance…